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Probably the saddest movie I've ever seen is a famous German movie called "Die letzten Tage der Sophie Scholl" ("The final days of Sophie Scholl"). It's based on a true story. Sophie Scholl was a German, 21-year old university student in 1941. She founded a non-violent underground resistance group called "Die weisse Rose" (The white rose) along with her brother Hans Scholl, three of their best friends and one of their university professors (and a few other people). Together they secretly printed thousands of leaflets on which they wrote about the war crimes of the Nazis and the torture of Jews and called out to the people of Germany to oppose the Nazis. They also did other illegal actions, such as secretly spraying "Down with Hitler" or "Freedom for Germany" against house walls during the night.
In 1943 they were caught by the Gestapo while they were distributing leaflets at their university during the lecture time and they were tried for high treason. Despite extensive efforts by the Gestapo to squeeze more information out of the leaders Sophie and Hans Scholl, they kept quiet and did not give away the names of their friends who hadn't been caught. Only a few days later, Sophie Scholl, her brother Hans and a few other members were found guilty and executed. Some of their leaflets however made it all the way from Munich to Scandinavia and from their across the sea to Great Britain, where they were re-copied by the Royal Army and dropped all over Germany.
The movie is different from sad Hollywood movies in that it doesn't make you ball your eyes out. The type of sadness it creates is more of a very deep, depressive kind of sadness. It's extremely touching. I once watched it in high school and after the movie was over, the whole class was completely silent for about 10 minutes. Nobody felt like saying a word, let alone go back to fooling around with his/her friends.